I had 2 machines with a working OpenLDAP master/slave
setup. But due to harddisk crash I wanted to move this
to 2 new machines.
To do this I copied the both slapd.conf and edited the
"replica" section with the new hostnames. I also shut
down the old LDAP master and dumped it to an LDIF file
with slapcat. This file I read back with slapadd to
both the new machines and then I indexed it with
slapindex.
However, this was perhaps a bit overoptimistic of me
becouse now I have the problem that if I add a new
entry it appears like it's replicated to the slave
which is good. But if I try to change an entry it get
stuck in <slave>.rej on the master.
So any help on what I might be missing is highly
appreciated.

Just a quick note, slapadd does indexing if you have them defined, so there
is generally no reason to run slapindex after running slapadd. Plus if you
have properly configured your DB_CONFIG file, it will be faster to slapadd
with indexing than to slapadd then index.

Have you read the <slave>.rej files to see *why* the changes are being
rejected? They always list the reason...